International Financial Integration and Long Run Trends in Short Term Japanese Interest Rates
This paper utilises long term data series on short-term Japanese interest rates to identify historical changes in interest rate behaviour. Japanese trajectories are then compared to those of key foreign short-term rates and their relationship examined using cointegration analysis to assess the impac...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
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Global Policy Institute
2014
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| Online Access: | https://repository.londonmet.ac.uk/345/1/GPI%20discussion%20paper%2017%20Nov.2014.pdf |
| _version_ | 1804071510299639808 |
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| author | Bruce, David Bojkova, Viara |
| author_facet | Bruce, David Bojkova, Viara |
| author_sort | Bruce, David |
| collection | LMU |
| description | This paper utilises long term data series on short-term Japanese interest rates to identify historical changes in interest rate behaviour. Japanese trajectories are then compared to those of key foreign short-term rates and their relationship examined using cointegration analysis to assess the impact of international financial integration. The findings suggest that lasting changes began in the inter-war period when short-term volatility persistence fell. In the post-war period this was accompanied by reduced range in fluctuation. An increased trend towards closer linkages between Japanese and foreign interest rates was also evident from the inter-war period, a process interrupted by wartime events. Possible reasons for this were closer international financial integration as Japanese financial markets developed or a move to the interest rate as an adjustment mechanism to external imbalances.
The paper provides thorough explanation to the econometric results and all detailed test results can be seen in the addendum. It also gives information on how to access the original data used for the purposes of replication. |
| first_indexed | 2024-07-09T03:44:24Z |
| format | Article |
| id | oai:repository.londonmet.ac.uk:345 |
| institution | London Metropolitan University |
| language | English |
| last_indexed | 2024-07-09T03:44:24Z |
| publishDate | 2014 |
| publisher | Global Policy Institute |
| record_format | eprints |
| spelling | oai:repository.londonmet.ac.uk:3452015-04-15T14:49:42Z http://repository.londonmet.ac.uk/345/ International Financial Integration and Long Run Trends in Short Term Japanese Interest Rates Bruce, David Bojkova, Viara 330 Economics This paper utilises long term data series on short-term Japanese interest rates to identify historical changes in interest rate behaviour. Japanese trajectories are then compared to those of key foreign short-term rates and their relationship examined using cointegration analysis to assess the impact of international financial integration. The findings suggest that lasting changes began in the inter-war period when short-term volatility persistence fell. In the post-war period this was accompanied by reduced range in fluctuation. An increased trend towards closer linkages between Japanese and foreign interest rates was also evident from the inter-war period, a process interrupted by wartime events. Possible reasons for this were closer international financial integration as Japanese financial markets developed or a move to the interest rate as an adjustment mechanism to external imbalances. The paper provides thorough explanation to the econometric results and all detailed test results can be seen in the addendum. It also gives information on how to access the original data used for the purposes of replication. Global Policy Institute 2014-11 Article NonPeerReviewed text en https://repository.londonmet.ac.uk/345/1/GPI%20discussion%20paper%2017%20Nov.2014.pdf Bruce, David and Bojkova, Viara (2014) International Financial Integration and Long Run Trends in Short Term Japanese Interest Rates. Global Policy Institute Discussion Paper. pp. 2-134. http://www.gpilondon.com/category/publications/policy-papers/ |
| spellingShingle | 330 Economics Bruce, David Bojkova, Viara International Financial Integration and Long Run Trends in Short Term Japanese Interest Rates |
| title | International Financial Integration and Long Run Trends in Short Term Japanese Interest Rates |
| title_full | International Financial Integration and Long Run Trends in Short Term Japanese Interest Rates |
| title_fullStr | International Financial Integration and Long Run Trends in Short Term Japanese Interest Rates |
| title_full_unstemmed | International Financial Integration and Long Run Trends in Short Term Japanese Interest Rates |
| title_short | International Financial Integration and Long Run Trends in Short Term Japanese Interest Rates |
| title_sort | international financial integration and long run trends in short term japanese interest rates |
| topic | 330 Economics |
| url | https://repository.londonmet.ac.uk/345/1/GPI%20discussion%20paper%2017%20Nov.2014.pdf |
| work_keys_str_mv | AT brucedavid internationalfinancialintegrationandlongruntrendsinshorttermjapaneseinterestrates AT bojkovaviara internationalfinancialintegrationandlongruntrendsinshorttermjapaneseinterestrates |